Linear Complementarity Problem on the Monotone Extended Second Order Cone

Autor:	Gao, Yingchao, Németh, Sándor Z., Zhang, Guohan
Rok vydání:	2022
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	In this paper, we study the linear complementarity problems on the monotone extended second order cones. We demonstrate that the linear complementarity problem on the monotone extended second order cone can be converted into a mixed complementarity problem on the non-negative orthant. We prove that any point satisfying the FB equation is a solution of the converted problem. We also show that the semi-smooth Newton method could be used to solve the converted problem, and we also provide a numerical example. Finally, we derive the explicit solution to a portfolio optimisation problem based on the monotone extended second order cone. Comment: 22 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2209.04386 Zobrazit plný text záznamu View this record from Arxiv